Have you tried logging straight into the RD server as one of the users and running GPResult /r /v to ensure the drive mapping polices are being applied to the users on the RD VM's?
1.) In group policy you can hide the drives under:
User Configuration | Policies | Administrative Templates | Windows Components | File Explorer
Hide these specified drives in My Computer = enabled, Restrict A, B, C, and D drives only
2.) You will want to use Group Policy loop-back in merge mode. This will allow you to link GPOs with user configurations to the RDSH OU and have those applied for users that connect to the server.